Peter Reinhard Hansen

Peter Reinhard Hansen
Born June 1968 (age 46)
Nationality Denmark
Institution European University Institute
Field Econometrics
Alma mater University of Copenhagen (M.Sc. 1995)
UCSD (PhD 2000)
Influences Soren Johansen
James D. Hamilton
Halbert White
Robert Engle
Spouse Gridt Vig Find
Information at IDEAS / RePEc

Peter Reinhard Hansen (born June 15, 1968) is Professor of Economics at the European University Institute in Florence Italy. He has previously taught at Brown University, Stanford Graduate School of Business, and Stanford University.

Biography

Hansen was born in Sorø, Denmark, where he went to Sorø Akademi. He studied mathematics and economics at the University of Copenhagen (M.sc. 1995) under the supervision of Søren Johansen and from 1996 he studied economics University of California, San Diego (Ph.D. 2000).

Hansen is known for his research on volatility, forecasting and cointegration, including the "test for superior predictive ability", which can be used to test whether a benchmark forecast is significantly outperformed by competing forecasts, the Model Confidence Set.[1] He has, in collaboration with Ole E. Barndorff-Nielsen, Asger Lunde, and Neil Shephard, developed the realized kernel estimator that can estimate the quadratic variation in an environment with noisy high-frequency data, such as financial tick-by-tick data. He co-authored the book "Workbook on Cointegration" with Søren Johansen.

Selected writings

References

  1. Hansen, Peter Reinhard; Lunde, Asger; Nason, James M (2011). "The Model Confidence Set". Econometrica 79: 453–497. doi:10.3982/ECTA5771.

External links